This study jointly examines herding, momentum trading and performance in real estate mutual funds (REMFs). We do this using trading and performance data for 159 REMFs across the period 1998-2008. In support of the view that Real Estate Investment Trust (REIT) stocks are relatively more transparent, we find that stock herding by REMFs is lower in REIT stocks than other stock. Herding behavior in our data reveals a tendency for managers to sell winners, reflective of the "disposition effect." We find low overall levels of REMF momentum trading, but further evidence of the disposition effect when momentum trading is segregated into buy-sell dimensions. We test the robustness of our analysis using style analysis, and by reference to the level of fund dividend distribution. Our results for this are consistent with our conjecture about the role of transparency in herding, but they provide no new insights in relation to the momentum-trading dimensions of our analysis. Summarizing what are complex interrelationships, we find that neither herding nor momentum trading are demonstrably superior investment strategies for REMFs.
We establish trace and extension theorems for evolutionary equations with the Caputo fractional derivatives in (weighted) Lp spaces. To achieve this, we identify weighted Sobolev and Besov spaces with mixed norms that accommodate solution spaces and their initial values well-suited for equations involving time-fractional derivatives. Our analysis encompasses both time-fractional sub-diffusion and super-diffusion equations. We also provide observations on the initial behavior of solutions to time-fractional equations.
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